On the statistical estimation of diffusion processes - a partial survey

Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three di§erent approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the employment of Martingale Estimating Functions, and the application of Generalized Method of Moments (GMM).

Estimation of DSGE Models: A Monte Carlo Analysis

Neste trabalho investigamos as propriedades em pequena amostra e a robustez das estimativas dos parâmetros de modelos DSGE. Tomamos o modelo de Smets and Wouters (2007) como base e avaliamos a performance de dois procedimentos de estimação: Método dos Momentos Simulados (MMS) e Máxima Verossimilhança (MV). Examinamos a distribuição empírica das estimativas dos parâmetros e sua implicação para as análises de impulso-resposta e decomposição de variância nos casos de especificação correta e má especificação. Nossos resultados apontam para um desempenho ruim de MMS e alguns padrões de viés nas análises de impulso-resposta e decomposição de variância com estimativas de MV nos casos de má especificação considerados.

Calibration uncertainty estimation for internal aerodynamic balance

Aerodynamic balances are employed in wind tunnels to estimate the forces and moments acting on the model under test. This paper proposes a methodology for the assessment of uncertainty in the calibration of an internal multi-component aerodynamic balance. In order to obtain a suitable model to provide aerodynamic loads from the balance sensor responses, a calibration is performed prior to the tests by applying known weights to the balance. A multivariate polynomial fitting by the least squares method is used to interpolate the calibration data points. The uncertainties of both the applied loads and the readings of the sensors are considered in the regression. The data reduction includes the estimation of the calibration coefficients, the predicted values of the load components and their corresponding uncertainties, as well as the goodness of fit.

Finite element based estimation of contact areas and pressures of the human scaphoid in various functional positions of the hand

The scaphoid is the most frequently fractured carpal bone. When investigating fixation stability, which may influence healing, knowledge of forces and moments acting on the scaphoid is essential. The aim of this study was to evaluate cartilage contact forces acting on the intact scaphoid in various functional wrist positions using finite element modeling. A novel methodology was utilized as an attempt to overcome some limitations of earlier studies, namely, relatively coarse imaging resolution to assess geometry, assumption of idealized cartilage thicknesses and neglected cartilage pre-stresses in the unloaded joint. Carpal bone positions and articular cartilage geometry were obtained independently by means of high resolution CT imaging and incorporated into finite element (FE) models of the human wrist in eight functional positions. Displacement driven FE analyses were used to resolve inter-penetration of cartilage layers, and provided contact areas, forces and pressure distribution for the scaphoid bone. The results were in the range reported by previous studies. Novel findings of this study were: (i) cartilage thickness was found to be heterogeneous for each bone and vary considerably between carpal bones; (ii) this heterogeneity largely influenced the FE results and (iii) the forces acting on the scaphoid in the unloaded wrist were found to be significant. As major limitations, accuracy of the method was found to be relatively low, and the results could not be compared to independent experiments. The obtained results will be used in a following study to evaluate existing and recently developed screws used to fix scaphoid fractures.

Fast human pose estimation using 3D Zernike descriptors

Markerless video-based human pose estimation algorithms face a high-dimensional problem that is frequently broken down into several lower-dimensional ones by estimating the pose of each limb separately. However, in order to do so they need to reliably locate the torso, for which they typically rely on time coherence and tracking algorithms. Their losing track usually results in catastrophic failure of the process, requiring human intervention and thus precluding their usage in real-time applications. We propose a very fast rough pose estimation scheme based on global shape descriptors built on 3D Zernike moments. Using an articulated model that we configure in many poses, a large database of descriptor/pose pairs can be computed off-line. Thus, the only steps that must be done on-line are the extraction of the descriptors for each input volume and a search against the database to get the most likely poses. While the result of such process is not a fine pose estimation, it can be useful to help more sophisticated algorithms to regain track or make more educated guesses when creating new particles in particle-filter-based tracking schemes. We have achieved a performance of about ten fps on a single computer using a database of about one million entries.

The accuracy of parameter estimation from noisy data, with application to resonance peak estimation in distributed Brillouin sensing

Distributed Brillouin sensing of strain and temperature works by making spatially resolved measurements of the position of the measurand-dependent extremum of the resonance curve associated with the scattering process in the weakly nonlinear regime. Typically, measurements of backscattered Stokes intensity (the dependent variable) are made at a number of predetermined fixed frequencies covering the design measurand range of the apparatus and combined to yield an estimate of the position of the extremum. The measurand can then be found because its relationship to the position of the extremum is assumed known. We present analytical expressions relating the relative error in the extremum position to experimental errors in the dependent variable. This is done for two cases: (i) a simple non-parametric estimate of the mean based on moments and (ii) the case in which a least squares technique is used to fit a Lorentzian to the data. The question of statistical bias in the estimates is discussed and in the second case we go further and present for the first time a general method by which the probability density function (PDF) of errors in the fitted parameters can be obtained in closed form in terms of the PDFs of the errors in the noisy data.

The accuracy of parameter estimation from noisy data, with application to resonance peak estimation in distributed Brillouin sensing

Distributed Brillouin sensing of strain and temperature works by making spatially resolved measurements of the position of the measurand-dependent extremum of the resonance curve associated with the scattering process in the weakly nonlinear regime. Typically, measurements of backscattered Stokes intensity (the dependent variable) are made at a number of predetermined fixed frequencies covering the design measurand range of the apparatus and combined to yield an estimate of the position of the extremum. The measurand can then be found because its relationship to the position of the extremum is assumed known. We present analytical expressions relating the relative error in the extremum position to experimental errors in the dependent variable. This is done for two cases: (i) a simple non-parametric estimate of the mean based on moments and (ii) the case in which a least squares technique is used to fit a Lorentzian to the data. The question of statistical bias in the estimates is discussed and in the second case we go further and present for the first time a general method by which the probability density function (PDF) of errors in the fitted parameters can be obtained in closed form in terms of the PDFs of the errors in the noisy data.

Nonparametric Estimation in the Class of Bisexual Processes with Population-Size Dependent Mating

2000 Mathematics Subject Classification: 60J80, 62M05

Regional flood frequency analysis for Newfoundland and Labrador using the L-Moments index-flood method

The L-moments based index-flood procedure had been successfully applied for Regional Flood Frequency Analysis (RFFA) for the Island of Newfoundland in 2002 using data up to 1998. This thesis, however, considered both Labrador and the Island of Newfoundland using the L-Moments index-flood method with flood data up to 2013. For Labrador, the homogeneity test showed that Labrador can be treated as a single homogeneous region and the generalized extreme value (GEV) was found to be more robust than any other frequency distributions. The drainage area (DA) is the only significant variable for estimating the index-flood at ungauged sites in Labrador. In previous studies, the Island of Newfoundland has been considered as four homogeneous regions (A,B,C and D) as well as two Water Survey of Canada's Y and Z sub-regions. Homogeneous regions based on Y and Z was found to provide more accurate quantile estimates than those based on four homogeneous regions. Goodness-of-fit test results showed that the generalized extreme value (GEV) distribution is most suitable for the sub-regions; however, the three-parameter lognormal (LN3) gave a better performance in terms of robustness. The best fitting regional frequency distribution from 2002 has now been updated with the latest flood data, but quantile estimates with the new data were not very different from the previous study. Overall, in terms of quantile estimation, in both Labrador and the Island of Newfoundland, the index-flood procedure based on L-moments is highly recommended as it provided consistent and more accurate result than other techniques such as the regression on quantile technique that is currently used by the government.